Robustness of quadratic hedging strategies in finance via Fourier transforms
- Author
- Catherine Daveloose, Asma Khedher and Michèle Vanmaele (UGent)
- Organization
- Keywords
- CONVERGENCE, SIMULATION, OPTION PRICES, MARTINGALE MEASURES, LEVY PROCESSES, FOLLMER-SCHWEIZER DECOMPOSITION, Robustness, Fourier transforms, Quadratic hedging, Options, Levy processes
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Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-6936134
- Chicago
- Daveloose, Catherine, Asma Khedher, and Michèle Vanmaele. 2016. “Robustness of Quadratic Hedging Strategies in Finance via Fourier Transforms.” Journal of Computational and Applied Mathematics 296: 56–88.
- APA
- Daveloose, C., Khedher, A., & Vanmaele, M. (2016). Robustness of quadratic hedging strategies in finance via Fourier transforms. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 296, 56–88.
- Vancouver
- 1.Daveloose C, Khedher A, Vanmaele M. Robustness of quadratic hedging strategies in finance via Fourier transforms. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS. 2016;296:56–88.
- MLA
- Daveloose, Catherine, Asma Khedher, and Michèle Vanmaele. “Robustness of Quadratic Hedging Strategies in Finance via Fourier Transforms.” JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 296 (2016): 56–88. Print.
@article{6936134,
author = {Daveloose, Catherine and Khedher, Asma and Vanmaele, Mich{\`e}le},
issn = {0377-0427},
journal = {JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS},
keyword = {CONVERGENCE,SIMULATION,OPTION PRICES,MARTINGALE MEASURES,LEVY PROCESSES,FOLLMER-SCHWEIZER DECOMPOSITION,Robustness,Fourier transforms,Quadratic hedging,Options,Levy processes},
language = {eng},
pages = {56--88},
title = {Robustness of quadratic hedging strategies in finance via Fourier transforms},
url = {http://dx.doi.org/10.1016/j.cam.2015.09.005},
volume = {296},
year = {2016},
}
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